Link exchange practice is okay. But there are several disadvantages involved such as: the website that wishes to exchange link is new and it has no PR or Alexa rank yet; the website has a lot of outbound links; it is also not okay to exchange link with a site that is not related to your niche. It is good to exchange link with a site that has a lot of traffic, provides quality information to its visitors and of course, it should not compete with your website too.